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A0549
Title: Long- and short-term impacts of COVID-19 on price volatility using MIDAS in Palestine Authors:  Samir Safi - United Arab Emirates University (United Arab Emirates) [presenting]
Abstract: The aim is to study the impact of COVID-19 on price volatility in Palestine, and to forecast the extent of price volatility. We will show the challenges that are facing Palestine, diagnose the effects of COVID-19 on prices, and provide some remedy procedures to tackle the problems resulting from the continuous spread of novel COVID-19 in Palestine. This impact will be examined by using mixed data sampling, the MIDAS regression model. In the methodology of this technique, the selected best model will be tested through the validity of the estimated model based on information criteria. Issues in different forecasting accuracy of the MIDAS regression model approaches and criteria to choose the best model will be discussed in this research. This approach of using MIDAS will tackle the time series data with low and high frequencies. The MIDAS methodology addresses the situation where the response variable in the regression is sampled at a lower frequency than one or more of the regressors. The proposed research will be the first in this area to address long-run and short-run price related issues associated with COVID-19. Previous research has faced bottlenecks when combining data with different frequencies in this area.